Quantitative Analyst Job: Ernst and Young
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Quantitative Analyst Job: Ernst and Young

Ernst and Young is a global leader in assurance, tax, transaction and advisory services. The insights and quality services we deliver help build trust and confidence in the capital markets and in economies the world over. 

Role Description
The successful candidate will handle to handle IFRS 9 implementation projects for a bank in the following areas:

  • Validate the risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management under Basel
  • Make adjustments required to risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management (under Basel) to ensure compliance with IFRS 9 requirements
  • Provide quantitative and technical support required in building IFRS 9 compliant impairment models and calculators for clients
  • Identify adjustments required to risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management (under Basel) and ensure they comply with IFRS 9 requirements


  • Sc. (2.1)/MBA in Mathematics or Actuarial Science

Relevant working experience

  • 2 -3 years credit risk modeling experience covering risk parameters such as PD, LGD, EAD/CCF etc. in an Advanced IRB environment
  • Basel II/III capital requirement calculations under Advanced IRB approach
  • Banking/Insurance
  • IFRS 9 and IAS 39 knowledge/experience will be an added advantage.
  • Modeling savvy:
    • Using mathematical sense to model under different scenarios
    • Model validation etc.
To apply click here


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